ABSTRACT
This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets,
TABLE OF CONTENTS
part |1 pages
Part I Financial risk processes
part |1 pages
PART II Financial risk measurement
part |1 pages
PART III Term structure dynamics
part |1 pages
PART IV Financial risk management